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I want to say Scott #795 (Northwest Territory) was the first commemorative stamp to bear the words "FIRST DAY OF ISSUE" within the killer bars of the postmark. It was issued 07/13/1937.
Among my collection of airmail FDC's, the first I see is for C23 on May 14,1938, and I don't see anything earlier in Planty's, at least for airmail covers. I only have Volume X of Planty's, since it is all I needed for airmail covers of interest, and it only goes back to Scott #856 (1939) for regular issues, and the "First Day of Issue" cancellation is quite common by then. But in my personal collection of airmail covers, while I have a few of the Transport Plane series (C26-C31, 1941 and 1944) with the "First Day of Issue" cancellation, I have many FDC's that lack it. But by C32 (1946) and C33 (1947) it looks like they all have it.